Exact General-Purpose Solvers for Mixed-Integer Bilevel Linear - PowerPoint PPT Presentation

Exact General-Purpose Solvers for Mixed-Integer Bilevel Linear Programs Tutorial I. Ljubi´ c ESSEC Business School of Paris, France JFRO 2018, March 26, Paris

Based on the papers: • Part I: M. Fischetti, I. Ljubi´ c, M. Monaci, M. Sinnl: On the Use of Intersection Cuts for Bilevel Optimization, Mathematical Programming, to appear, 2018 • Part II: M. Fischetti, I. Ljubi´ c, M. Monaci, M. Sinnl: A new general-purpose algorithm for mixed-integer bilevel linear programs, Operations Research 65(6): 1615-1637, 2017 Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 2

Bilevel Optimization General bilevel optimization problem x ∈ R n 1 , y ∈ R n 2 F ( x , y ) min (1) G ( x , y ) ≤ 0 (2) y ′ ∈ R n 2 { f ( x , y ′ ) : g ( x , y ′ ) ≤ 0 } y ∈ arg min (3) • Stackelberg game: two-person sequential game • Leader takes follower’s optimal reaction into account • N x = { 1 , . . . , n 1 } , N y = { 1 , . . . , n 2 } • n = n 1 + n 2 : total number of decision variables Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 3

Bilevel Optimization General bilevel optimization problem x ∈ R n 1 , y ∈ R n 2 F ( x , y ) min (1) G ( x , y ) ≤ 0 (2) y ′ ∈ R n 2 { f ( x , y ′ ) : g ( x , y ′ ) ≤ 0 } y ∈ arg min (3) Leader • Stackelberg game: two-person sequential game • Leader takes follower’s optimal reaction into account • N x = { 1 , . . . , n 1 } , N y = { 1 , . . . , n 2 } • n = n 1 + n 2 : total number of decision variables Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 3

Bilevel Optimization General bilevel optimization problem x ∈ R n 1 , y ∈ R n 2 F ( x , y ) min (1) G ( x , y ) ≤ 0 (2) y ∈ arg min y ′ ∈ R n 2 { f ( x , y ′ ) : g ( x , y ′ ) ≤ 0 } (3) Leader Follower • Stackelberg game: two-person sequential game • Leader takes follower’s optimal reaction into account • N x = { 1 , . . . , n 1 } , N y = { 1 , . . . , n 2 } • n = n 1 + n 2 : total number of decision variables Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 3

Optimistic vs Pessimistic Solution The Stackelberg game under: • Perfect information: both agents have perfect knowledge of each others strategy • Rationality: agents act optimally, according to their respective goals • What if there are multiple optimal solutions for the follower? ◮ Optimistic Solution: among the follower’s solution, the one leading to the best outcome for the leader is assumed ◮ Pessimistic Solution: among the follower’s solution, the one leading to the worst outcome for the leader is assumed Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 4

Optimistic vs Pessimistic Solution The Stackelberg game under: • Perfect information: both agents have perfect knowledge of each others strategy • Rationality: agents act optimally, according to their respective goals • What if there are multiple optimal solutions for the follower? ◮ Optimistic Solution: among the follower’s solution, the one leading to the best outcome for the leader is assumed ◮ Pessimistic Solution: among the follower’s solution, the one leading to the worst outcome for the leader is assumed Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 4

Our Focus: Mixed-Integer Bilevel Linear Programs (MIBLP) min c T x x + c T (MIBLP) y y (4) G x x + G y y ≤ 0 (5) y ∈ arg min { d T y : Ax + By ≤ 0 , (6) y j integer , ∀ j ∈ J y } (7) x j integer , ∀ j ∈ J x (8) ( x , y ) ∈ R n (9) where c x , c y , G x , G y , A , B are given rational matrices/vectors of appropriate size. Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 5

Complexity Bilevel Linear Programs Bilevel LPs are strongly NP-hard (Audet et al. [1997], Hansen et al. [1992]). min c T x min c T x Ax = b Ax = b ⇔ x ∈ { 0 , 1 } v = 0 v ∈ arg max { w : w ≤ x , w ≤ 1 − x , w ≥ 0 } w x Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 6

Complexity Bilevel Mixed-Integer Linear Programs MIBLP is Σ P 2 -hard (Lodi et al. [2014]): there is no way of formulating MIBLP as a MILP of polynomial size unless the polynomial hierarchy collapses. Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 7

Overview Part I • Develop a finitely convergent branch-and-bound approach (under certain conditions) • Capable of dealing with unboundedness and infeasibility • Introduce intersection cuts to speed-up convergence Part II • Introduce a fully-fledged branch-and-cut for MIBLPs Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 8

STEP 1: VALUE FUNCTION REFORMULATION Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 9

Our Focus: Mixed-Integer Bilevel Linear Programs (MIBLP) Value Function Reformulation: min c T x x + c T (MIBLP) y y (10) G x x + G y y ≤ 0 (11) Ax + By ≤ 0 (12) ( x , y ) ∈ R n (13) d T y ≤ Φ( x ) (14) x j integer , ∀ j ∈ J x (15) y j integer , ∀ j ∈ J y (16) where Φ( x ) is non-convex, non-continuous: Φ( x ) = min { d T y : Ax + By ≤ 0 , y j integer , ∀ j ∈ J y } • dropping d T y ≤ Φ( x ) → High Point Relaxation (HPR) which is a MILP → we can use MILP solvers with all their tricks • let HPR be LP-relaxation of HPR Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 10

Our Focus: Mixed-Integer Bilevel Linear Programs (MIBLP) Value Function Reformulation: I am a Mixed-Integer Linear Program (MILP) min c T x x + c T (HPR) y y (10) G x x + G y y ≤ 0 (11) Ax + By ≤ 0 (12) ( x , y ) ∈ R n (13) (14) x j integer , ∀ j ∈ J x (15) y j integer , ∀ j ∈ J y (16) where Φ( x ) is non-convex, non-continuous: Φ( x ) = min { d T y : Ax + By ≤ 0 , y j integer , ∀ j ∈ J y } • dropping d T y ≤ Φ( x ) → High Point Relaxation (HPR) which is a MILP → we can use MILP solvers with all their tricks • let HPR be LP-relaxation of HPR Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 10

Our Focus: Mixed-Integer Bilevel Linear Programs (MIBLP) Value Function Reformulation: min c T x x + c T (HPR) y y (10) G x x + G y y ≤ 0 (11) Ax + By ≤ 0 (12) ( x , y ) ∈ R n (13) (14) (15) (16) where Φ( x ) is non-convex, non-continuous: Φ( x ) = min { d T y : Ax + By ≤ 0 , y j integer , ∀ j ∈ J y } • dropping d T y ≤ Φ( x ) → High Point Relaxation (HPR) which is a MILP → we can use MILP solvers with all their tricks • let HPR be LP-relaxation of HPR Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 10

Example • notorious example from Moore and Bard [1990] • HPR • value-function reformulation y 4 min x ∈ Z − x − 10 y 3 y ′ ∈ Z { y ′ : y ∈ arg min 2 − 25 x + 20 y ′ ≤ 30 x + 2 y ′ ≤ 10 1 2 x − y ′ ≤ 15 2 x + 10 y ′ ≥ 15 } x 1 2 3 4 5 6 7 8 Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 11

Example • notorious example from Moore and Bard [1990] • HPR • value-function reformulation y 4 x , y ∈ Z − x − 10 y min 3 − 25 x + 20 y ≥ 30 2 x + 2 y ≤ 10 2 x − y ≤ 15 1 2 x + 10 y ≥ 15 x 1 2 3 4 5 6 7 8 Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 11

Example • notorious example from Moore and Bard [1990] • HPR • value-function reformulation y 4 x , y ∈ Z − x − 10 y min 3 − 25 x + 20 y ≥ 30 Φ( x ) 2 x + 2 y ≤ 10 2 x − y ≤ 15 1 2 x + 10 y ≥ 15 y ≤ Φ( x ) x 1 2 3 4 5 6 7 8 Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 11

General Idea General Procedure • Start with the HPR- (or HPR-)relaxation • Get rid of bilevel infeasible solutions on the fly • Apply branch-and-bound or branch-and-cut algorithm There are some unexpected difficulties along the way... • Optimal solution can be unattainable • HPR can be unbounded Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 12

(Un)expected Difficulties: Unattainable Solutions Example from K¨ oppe et al. [2010] Continuous variables in the leader, integer variables in the follower ⇒ optimal solution may be unattainable inf x − y x , y 0 ≤ x ≤ 1 y ′ { y ′ : y ′ ≥ x , 0 ≤ y ′ ≤ 1 , y ′ ∈ Z } . y ∈ arg min Equivalent to inf x { x − ⌈ x ⌉ : 0 ≤ x ≤ 1 } y 1 Bilevel feasible set is neither convex nor closed. Crucial assumption for us: follower subproblem depends only on integer leader variables J F ⊆ J x . x 1 Ivana Ljubi´ c (ESSEC) Exact General-Purpose Solvers for MIBLPs JFRO 2018, March 26, Paris 13